Concepedia

Multi-factor Term Structure Models

Multi-Factor Term Structure Models is a mathematical framework in financial economics that belongs to the class of term structure models and is distinguished by its incorporation of multiple stochastic factors to capture the dynamic evolution of interest rates across different maturities.

348

Publications

28.1K

Citations

520

Authors

340

Institutions

Publications per year

2017–2026

34

Parents

Publications

348

A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

Andrew Ang, Monika Piazzesi · Journal of Monetary Economics · 2003 · 1.8K citations

, , +17

Bond Risk Premia

John H. Cochrane, Monika Piazzesi · American Economic Review · 2005 · 1.5K citations

, , +16

The Market Model of Interest Rate Dynamics

Alan Brace, Dariusz G ̧atarek, Marek Musiela · Mathematical Finance · 1997 · 1.2K citations

, , +17

The macroeconomy and the yield curve: a dynamic latent factor approach

Francis X. Diebold, Glenn D. Rudebusch, S. Borağan Aruoba · Journal of Econometrics · 2005 · 986 citations

, , +14

Interest Rate Volatility and the Term Structure: A Two‐Factor General Equilibrium Model

Francis A. Longstaff, Eduardo S. Schwartz · The Journal of Finance · 1992 · 945 citations

, , +17

1–5 of 348

Authors

520

  1. GD
    Glenn D. Rudebusch

    Federal Reserve Bank of San Francisco, United States

    12 publications · 2.1K citations

    12

    h-index

  2. FX
    Francis X. Diebold

    University of Pennsylvania, United States

    12 publications · 2.1K citations

    12

    h-index

  3. LW
    Liuren Wu

    Baruch College, United States

    9 publications · 381 citations

    9

    h-index

  4. MP
    Monika Piazzesi

    University of Chicago, United States

    9 publications · 4.4K citations

    9

    h-index

  5. LK
    Leo Krippner

    Reserve Bank of New Zealand, New Zealand

    8 publications · 287 citations

    8

    h-index

1–5 of 520

Institutions

340

  1. National Bureau of Economic Research

    Cambridge, United States

    22 h-index

    39 publications

    6.1K citations

  2. Federal Reserve

    Washington D.C., United States

    14 h-index

    22 publications

    1.8K citations

  3. Federal Reserve Board of Governors

    Washington D.C., United States

    14 h-index

    21 publications

    1.8K citations

  4. Federal Reserve Bank of San Francisco

    San Francisco, United States

    13 h-index

    26 publications

    2.8K citations

  5. University of Pennsylvania

    Philadelphia, United States

    13 h-index

    21 publications

    2.7K citations

  6. University of Chicago

    Chicago, United States

    11 h-index

    17 publications

    5.1K citations

  7. Stanford University

    Stanford, United States

    11 h-index

    12 publications

    1.3K citations

  8. Swiss Finance Institute

    Zurich, Switzerland

    10 h-index

    15 publications

    627 citations

1–8 of 340

Venues

  1. SSRN Electronic Journal

    Repository · 84 publications · 3.7K citations

    32

    h-index

  2. The Journal of Finance

    15 publications · 2.8K citations

    13

    h-index

  3. Journal of Financial and Quantitative Analysis

    JFQA · 11 publications · 1K citations

    11

    h-index

  4. RePEc: Research Papers in Economics

    Repository · 10 publications · 213 citations

    10

    h-index

  5. Journal of Econometrics

    10 publications · 2.3K citations

    10

    h-index

1–5